In this work we propose a trust-region algorithm for the problem of minimizing a function within a convex closed domain. We assume that the objective function is differentiable but no derivatives are available. The algorithm has a very simple structure and allows a great deal of freedom in the choice of the models. Under reasonable assumptions for derivative-free schemes, we prove global convergence for the algorithm, that is to say, that all accumulation points of the sequence generated by the algorithm are stationary.
Citation
Department of Mathematics, Federal University of Paraná, September, 2012